double montecarlo(int spot, double vol, double mu)
{
int i = 0;
int j = 1;
double alea = 0;
double delta = 0.0;
double Sn[N_DAYS];
double S = 0.0;
double mean = 0.0;
double brownian = 0.0;
Sn[0] = (double)spot;
while (i < N_SIM)
{
while (j < N_DAYS)
{
alea = (double)rand() / ((double)RAND_MAX - 1);
brownian = normsinv(alea);
delta = (vol * brownian) - ((vol * vol) / 2);
Sn[j] = Sn[j-1] + (mu * j) + (vol * delta) + sqrt(j);
j++;
}
mean = mean + Sn[j-1];
j = 1;
i++;
}
mean = mean / N_SIM;
return (mean);
}
void BS::asset(std::vector<double> *path, double T, int N,MTRand *myGen){
double St = S_;
double Zs,U;
double sigmaW = sigma_*sqrt(T/double(N));
double varW = T/double(N);
double drift = (r_ - pow(sigma_,2)/2)*varW;
(*path)[0] = S_;
for (int i = 1; i <= N; i++){
U = (*myGen)();
Zs = normsinv(U);
St = St*exp(drift + sigmaW*Zs);
(*path)[i] = St;
}
}
static float normsinvf(float p) {
return static_cast<float>(normsinv(p));
}
static void inverse(T* data, size_t count) {
LCG<T> r;
for (size_t i = 0; i < count; i++)
data[i] = normsinv(r());
}
